Report NEP-ETS-2006-10-21This is the archive for NEP-ETS, a report on new working papers in the area of Econometric Time Series. Yong Yin issued this report. It is usually issued weekly.
The following items were announced in this report:
- Joseph P. Byrne & Roger Perman, 2006. "Unit Roots and Structural Breaks: A Survey of the Literature," Working Papers 2006_10, Business School - Economics, University of Glasgow.
- Jokipii , Terhi & Lucey, Brian, 2006. "Contagion and interdependence: measuring CEE banking sector co-movements," Research Discussion Papers 15/2006, .
- Crowley , Patrick & Maraun , Douglas & Mayes , David, 2006. "How hard is the euro are core? An evaluation of growth cycles using wavelet analysis," Research Discussion Papers 18/2006, .
- Crowley , Patrick & Lee , Jim, 2005. "Decomposing the co-movement of the business cycle: a time-frequency analysis of growth cycles in the euro area," Research Discussion Papers 12/2005, .
- Männistö , Hanna-Leena, 2005. "Forecasting with a forward-looking DGE model: combining long-run views of financial markets with macro forecasting," Research Discussion Papers 21/2005, .
- Vuorenmaa , Tommi, 2005. "A wavelet analysis of scaling laws and long-memory in stock market volatility," Research Discussion Papers 27/2005, .
- Crowley, Patrick, 2005. "An intuitive guide to wavelets for economists," Research Discussion Papers 1/2005, .
- Chollete, Lorán & Heinen, Andreas, 2006. "Frequent Turbulence? A Dynamic Copula Approach," Discussion Papers 2006/10, Department of Business and Management Science, Norwegian School of Economics.
- Panicos Demetriades & Michail Karoglou & Siong Hook Law, 2006. "Financial Liberalisation and Breaks in Stock Market Volatility," Discussion Papers in Economics 06/13, Department of Economics, University of Leicester, revised Nov 2006.
- Patrick J. Kehoe, 2006. "How to Advance Theory with Structural VARs: Use the Sims-Cogley-Nason Approach," NBER Working Papers 12575, National Bureau of Economic Research, Inc.
- F. Laurini & J. A. Tawn, 2006. "The extremal index for GARCH(1,1) processes with t-distributed innovations," Economics Department Working Papers 2006-SE01, Department of Economics, Parma University (Italy).
- L. Grossi & G. Morelli, 2006. "Robust volatility forecasts and model selection in financial time series," Economics Department Working Papers 2006-SE02, Department of Economics, Parma University (Italy).
- Oleg Korenok & Stanislav Radchenko, 2005. "The smooth transition autoregressive target zone model with the Gaussian stochastic volatility and TGARCH error terms with applications," Working Papers 0505, VCU School of Business, Department of Economics.
- Eickmeier, Sandra, 2006. "Comovements and heterogeneity in the Comovements and heterogeneity in the dynamic factor model," Discussion Paper Series 1: Economic Studies 2006,31, Deutsche Bundesbank, Research Centre.
- Abramov, Vyacheslav & Klebaner, Fima, 2006. "Forecasting and testing a non-constant volatility," MPRA Paper 207, University Library of Munich, Germany.
- Scalas, Enrico & Kim, Kyungsik, 2006. "The art of fitting financial time series with Levy stable distributions," MPRA Paper 336, University Library of Munich, Germany.
- Leeb, Hannes & Pötscher, Benedikt M., 2005. "Can One Estimate the Unconditional Distribution of Post-Model-Selection Estimators ?," MPRA Paper 72, University Library of Munich, Germany.